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  本文關(guān)鍵詞：流動性沖擊與資產(chǎn)價格波動研究　出處：《上海社會科學院》2013年博士論文　論文類型：學位論文

  更多相關(guān)文章： 流動性 流動性沖擊 流動性管理 資產(chǎn)價格波動 傳導效應

【摘要】：爆發(fā)于2007年的次貸危機是進大21世紀以來影響最為深遠的全球性經(jīng)濟事件。危機爆發(fā)后,世界主要經(jīng)濟體奉行凱恩斯主義的衣缽,采取向處于破產(chǎn)邊緣的金融機構(gòu)大量注資、大幅降低基準利率、放松信貸和上馬大型基建項目等措施。然而,政策干預效果與采取措施初衷相去甚遠：一方面實體經(jīng)濟復蘇之路并不平坦,美國經(jīng)濟復蘇之路仍然非常漫長,歐洲仍然在泥潭中掙扎,日本經(jīng)濟持續(xù)低迷,新興經(jīng)濟體陷入經(jīng)濟增速顯著下行的困境；另一方面成熟經(jīng)濟體虛擬資產(chǎn)價格載高歌猛進,隨著各國央行資產(chǎn)負債表迅速膨脹,成熟經(jīng)濟體如美國、英國和法國代表性股票指數(shù)已接近或超過經(jīng)濟基本面強勁的2000年和2007年水平。這種實體經(jīng)濟與虛擬經(jīng)濟背離現(xiàn)象值得警惕和深思。 回顧20世紀以來,全球經(jīng)濟所發(fā)生的每一次泡沫,如20世紀20年代美國經(jīng)濟、20世紀80年代口本經(jīng)濟、20世紀90年代的墨西哥經(jīng)濟、1997年之前亞洲經(jīng)濟、20世紀末的美國互聯(lián)網(wǎng)泡沫和21世紀初美國經(jīng)濟的繁榮,每次危機爆發(fā)前人們都有充足的理由說“這次不一樣”,即經(jīng)濟繁榮可以持續(xù)。然而,如果仔細分析每次經(jīng)濟從繁榮走向蕭條的過程,每次危機前后都會伴隨著“流動性急劇擴張—流動性逆轉(zhuǎn)—流動性短缺”的流動性沖擊過程,與其同時存在的是“資產(chǎn)價格急劇上漲—資產(chǎn)價格承壓—資產(chǎn)價格暴跌”的資產(chǎn)價格急劇波動現(xiàn)象,驗證了羅格夫和雷恩哈特的新著《這次不一樣?》中所強調(diào)的主旨——“這次沒什么不一樣”。 在現(xiàn)有世界經(jīng)濟體系中,大多數(shù)經(jīng)濟體對內(nèi)實行信用貨幣制度和對外實行有管理浮動匯率制度,始終臨保持合適流動性以促進經(jīng)濟持續(xù)健康增長和保持資產(chǎn)價格穩(wěn)定的艱難抉擇。因此,對于流動性沖擊和資產(chǎn)價格波動的研究,特別是流動性沖擊與資產(chǎn)價格波動在不同經(jīng)濟體及不同發(fā)展階段的經(jīng)驗總結(jié)不僅能夠?qū)Ρ据喗?jīng)濟危機未來演繹過程有更深入理解,而且對于制定合理的宏觀經(jīng)濟政策具有十分重要意義。 本文以“流動性沖擊與資產(chǎn)價格波動研究”為題,重點關(guān)注“流動性沖擊(Shock)→資產(chǎn)價格波動(Volatility)"這一過程,對流動性沖擊與資產(chǎn)價格波動間的傳導理論機制及相互影響的跨國實踐進行全面而系統(tǒng)的研究分析。全文共包括五個重要組成部分： 第一部分厘清概念和要點。系統(tǒng)梳理流動性、流動性沖擊、資產(chǎn)價格、資產(chǎn)價格波動、流動性沖擊與資產(chǎn)價格波動等相關(guān)理論,對于流動性、流動性沖擊和資產(chǎn)價格波動等重要概念予以明確界定并提出計量指標,從而為后續(xù)討論提供明確概念前提。 第二部分構(gòu)建理論框架。在對馬克思“資本循環(huán)理論”分析基礎(chǔ)上,基于保埃直達等學者所提出的理念和相關(guān)模型,以經(jīng)濟主體資本項目和經(jīng)常項目核算為起點,分別構(gòu)建封閉式和開放式經(jīng)濟體之流動性沖擊的產(chǎn)生及其影響的理論框架；由貨幣供求“二分法”過渡至貨幣數(shù)量“二分法”,結(jié)合AbelBernanke模型的深入挖掘,構(gòu)建流動性沖擊到資產(chǎn)價格波動的一、二階傳導機制理論框架；進一步揭示不同經(jīng)濟發(fā)展階段下的流動性沖擊和資產(chǎn)價格波動的傳導特征,為后續(xù)對相關(guān)經(jīng)濟體實證研究作好理論鋪墊。 第三部分為流動性沖擊和資產(chǎn)價格波動的國際經(jīng)驗研究。分別對部分代表性發(fā)達經(jīng)濟體和新興經(jīng)濟體之流動性沖擊和資產(chǎn)價格波動的實踐進行系統(tǒng)性研究：一方面從定性角度對代表性國家特定階段的流動性沖擊和資產(chǎn)價格波動特征進行深入研究,另一方面從定量角度檢驗流動性沖擊和資產(chǎn)價格波動間的相互作用機制。 第四部分為中國的流動性沖擊和資產(chǎn)價格波動研究。重點對中國改革開放以來的流動性沖擊和資產(chǎn)價格波動現(xiàn)象予以系統(tǒng)整理,得出中國流動性沖擊和資產(chǎn)價格波動特征。 第五部分為流動性沖擊與資產(chǎn)價格波動研究的啟示。根據(jù)理論分析及總結(jié)不同經(jīng)濟體流動性沖擊和資產(chǎn)價格波動特征,明確提出貨幣政策應關(guān)注資產(chǎn)價格變化(解決了貨幣政策是否需要關(guān)注資產(chǎn)價格問題),而且應關(guān)注主資產(chǎn)價格變化(解決了貨幣政策應關(guān)注哪類資產(chǎn)問題)。同時,根據(jù)各國實證結(jié)果及中國實際情況,提出當前中國房地產(chǎn)的主資產(chǎn)特征日益明顯,并從流動性沖擊與資產(chǎn)價格波動角度對中國匯率制度安排、金融創(chuàng)新及金融監(jiān)管提出相應的對策建議。
[Abstract]:The subprime crisis broke out in 2007 in twenty-first Century since the impact of the most far-reaching event. The global economic crisis, the world's major economies to pursue Keynes's legacy to the brink of bankruptcy of financial institutions to inject substantial funds significantly reduced the benchmark interest rate, the relaxation of credit and launched large-scale infrastructure projects and other measures. However, the effect of intervention policies and measures from the original intention: on the one hand, the recovery of the real economy is not a smooth road, the economic recovery of the road is still very long, Europe still struggling in the mire, the Japanese economy sustained downturn, economic growth in emerging economies was down dilemma; on the other hand the mature economies of fictitious assets prices set with stride forward singing militant songs. The central bank balance sheet expansion, mature economies such as the United States, Britain and France representative stock index has been close to or exceed the economy The basic level is strong in 2000 and 2007. The deviation between the real economy and the virtual economy is worth vigilant and thought-provoking.
Review since twentieth Century, every bubble occurred in the global economy, such as the U.S. economy in 1920s, in 1980s the economy, the economy of Mexico in 1990s, 1997 before the Asian economy, in twentieth Century the United States at the end of the Internet bubble and the beginning of the twenty-first Century American economic prosperity, every time before the crisis people have good reason to say "this is not the same." that is, economic prosperity can be sustained. However, if a careful analysis of each economy from prosperity to recession, every time before and after the crisis will be accompanied by a rapid expansion of liquidity - flow liquidity shock - reversal of liquidity shortage ", and at the same time there is a sharp rise in asset prices" - asset prices under pressure - asset prices "sharp asset price fluctuation, verification of Rogoff and Reinhard's new book" this is not the same as that in >? The theme - "nothing is different this time."
In the current world economic system, most economies to implement credit currency system of internal and external implementation of a managed floating exchange rate system, always maintain appropriate liquidity in order to promote the sustained and healthy economic growth and maintain the difficult choice of asset price stability. Therefore, the research on the liquidity shocks and asset price volatility, especially the liquidity shock and the volatility of asset prices in different economies in different stages of development and experience summary can not only have a better understanding of the current economic crisis of future development process, but also has important significance for the development of sound macroeconomic policies.
This paper is titled as "liquidity shocks and asset price volatility research", "focus on liquidity shocks to asset price volatility (Shock) (Volatility)" the process of transnational practices flow and interaction mechanism of conduction theory and impact of asset price volatility between the comprehensive and systematic study on the analysis. Includes five important parts:
The first part is to clarify the concept and main points. Systematic liquidity, liquidity shocks, asset prices, asset price volatility, liquidity shocks and asset price volatility and other related theories, for liquidity, clarifies the important concepts and put forward the measurement index of liquidity shocks and asset price fluctuations, thus providing a clear concept of the premise for further discussion.
The second part constructs the theoretical framework. In the analysis of Marx's "capital circulation theory" basis, proposed based on the concept of Baoai direct and other scholars and the relevant models to economic main current account and capital account accounting as a starting point, the theoretical framework of closed influence liquidity and open economy impact are constructed; the money supply and demand "dichotomy" transition to the quantity of money "dichotomy", combined with the mining depth of the AbelBernanke model, the construction of liquidity shocks to asset price volatility, two order transmission mechanism theory frame; conduction characteristics further reveal the liquidity shocks in the different stages of economic development and the fluctuation of asset prices, for the follow-up of the empirical study on preparing for the economy.
The third part is the research on international experience of liquidity shocks and asset price volatility. Respectively practice on liquidity of some representative developed and emerging economies and the impact of asset price volatility in systematic research: on the one hand, the liquidity impact on the representative country specific stage from the qualitative point of view and asset price volatility characteristics study of interaction mechanism on the other hand, from the view of quantitative inspection of liquidity shocks and asset price volatility between.
The fourth part is China's liquidity shock and asset price volatility. It focuses on China's liquidity shock and asset price volatility since the reform and opening up, and concludes the characteristics of China's liquidity shock and asset price volatility.
The fifth part is the enlightenment for liquidity shocks and asset price volatility research. According to the theoretical analysis and summary of different economies liquidity shocks and asset price volatility characteristics, proposed monetary policy should focus on changes in asset prices (the monetary policy needs to pay attention to the problem of asset price), and should pay attention to the main changes in asset prices (the currency what kind of policy should pay attention to assets). At the same time, according to the empirical results and China actual situation, put forward the main features of the current real estate assets China is becoming more and more obvious, and from liquidity shocks and asset price volatility of China exchange rate system, puts forward the corresponding countermeasures and suggestions of financial innovation and financial supervision.

【學位授予單位】：上海社會科學院
【學位級別】：博士
【學位授予年份】：2013
【分類號】：F113

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本文編號：1385609